Alocação dinâmica ótima com momentos de ordem superior para a estratégia de carry trade

O objetivo do presente trabalho é verificar se, ao levar-se em consideração momentos de ordem superior (assimetria e curtose) na alocação de uma carteira de carry trade, há ganhos em relação à alocação tradicional que prioriza somente os dois primeiros momentos (média e variância). A hipótese da pesquisa é que moedas de carry trade apresentam retornos com distribuição não-Normal, e os momentos de ordem superior desta têm uma dinâmica, a qual pode ser modelada através de um modelo da família GARCH, neste caso IC-GARCHSK. Este modelo consiste em uma equação para cada momento condicional dos componentes independentes, explicitamente: o retorno, a variância, a assimetria, e a curtose. Outra hipótese é que um investidor com uma função utilidade do tipo CARA (constant absolute risk aversion), pode tê-la aproximada por uma expansão de Taylor de 4ª ordem. A estratégia do trabalho é modelar a dinâmica dos momentos da série dos logartimos neperianos dos retornos diários de algumas moedas de carry trade através do modelo IC-GARCHSK, e estimar a alocação ótima da carteira dinamicamente, de tal forma que se maximize a função utilidade do investidor. Os resultados mostram que há ganhos sim, ao levar-se em consideração os momentos de ordem superior, uma vez que o custo de oportunidade desta foi menor que o de uma carteira construída somente utilizando como critérios média e variância.

Aggregate uncertainty, disappointment aversion and the business cycle

We investigate the eff ect of aggregate uncertainty shocks on real variables. More speci fically, we introduce a shock in the volatility of productivity in an RBC model with long-run volatility risk and preferences that exhibit generalised disappointment aversion. We find that, when combined with a negative productivity shock, a volatility shock leads to further decline in real variables, such as output, consumption, hours worked and investment. For instance, out of the 2% decrease in output as a result of both shocks, we attribute 0.25% to the e ffect of an increase in volatility. We also fi nd that this e ffect is the same as the one obtained in a model with Epstein-Zin- Weil preferences, but higher than that of a model with expected utility. Moreover, GDA preferences yield superior asset pricing results, when compared to both Epstein-Zin-Weil preferences and expected utility.

A consumption CAPM with a reference level

We study an intertemporal asset pricing model in which a representative consumer maximizes expected utility derived from both the ratio of his consumption to some reference level and this level itself. If the reference consumption level is assumed to be determined by past consumption levels, the model generalizes the usual habit formation specifications. When the reference level growth rate is made dependent on the market portfolio return and on past consumption growth, the model mixes a consumption CAPM with habit formation together with the CAPM. It therefore provides, in an expected utility framework, a generalization of the non-expected recursive utility model of Epstein and Zin (1989). When we estimate this specification with aggregate per capita consumption, we obtain economically plausible values of the preference parameters, in contrast with the habit formation or the Epstein-Zin cases taken separately. All tests performed with various preference specifications confirm that the reference level enters significantly in the pricing kernel.

Do insurance defrauders want to be punished?

We analyze a Principal-Agent model of an insurer who faces an adverse selection problem. He is unable to observe if his client has a high risk or a low risk of having an accident. At the underwriting of the contract, the insurer requests the client to declare his risk. After that, the former can costly audit the truthfulness of this announcement. If the audit confirms a false declaration, the insurer is legally allowed to punish the defrauder. We characterize the efRcient contracts when this punishment is bounded from above by a legal restriction. Then, we do some comparative statics on the efRcient contracts and on the agent's utility. The most important result of this paper concerns the legal limit to a defrauder's punishment. We prove that there exists a uni que value of this legal limit that maximizes the expected utility of a high risk type. Facing this particular value of the legal limit to a defrauder's punishment, the insurer will effectively audit a low risk reporto We also show that this particular value increases with the probability of facing a high risk policyholder. Therefore, when this probability is sufRciently high, the nullity of the contract is not enough. From the point of view of a potential defrauder, the law should allow harder sanctions. This is an striking result because the nullity of the contract is a common sanction for this kind of fraud in the USA and in some European countries.

Integral representation with convex capacities that are squeeze of (additive) probability measures

In this paper I will investigate the conditions under which a convex capacity (or a non-additive probability which exhibts uncertainty aversion) can be represented as a squeeze of a(n) (additive) probability measure associate to an uncertainty aversion function. Then I will present two alternatives forrnulations of the Choquet integral (and I will extend these forrnulations to the Choquet expected utility) in a parametric approach that will enable me to do comparative static exercises over the uncertainty aversion function in an easy way.

Asymmetric preferences in investment decisions in the Brazilian financial market

The main objective of this article is to test the hypothesis that utility preferences that incorporate asymmetric reactions between gains and losses generate better results than the classic Von Neumann-Morgenstern utility functions in the Brazilian market. The asymmetric behavior can be computed through the introduction of a disappointment (or loss) aversion coefficient in the classical expected utility function, which increases the impact of losses against gains. The results generated by both traditional and loss aversion utility functions are compared with real data from the Brazilian market regarding stock market participation in the investment portfolio of pension funds and individual investors.

Stima dei parametri di modelli idrologici mediante ottimizzazione dell’utilità

Tradizionalmente, l'obiettivo della calibrazione di un modello afflussi-deflussi è sempre stato quello di ottenere un set di parametri (o una distribuzione di probabilità dei parametri) che massimizzasse l'adattamento dei dati simulati alla realtà osservata, trattando parzialmente le finalità applicative del modello. Nel lavoro di tesi viene proposta una metodologia di calibrazione che trae spunto dell'evidenza che non sempre la corrispondenza tra dati osservati e simulati rappresenti il criterio più appropriato per calibrare un modello idrologico. Ai fini applicativi infatti, può risultare maggiormente utile una miglior rappresentazione di un determinato aspetto dell'idrogramma piuttosto che un altro. Il metodo di calibrazione che viene proposto mira a valutare le prestazioni del modello stimandone l'utilità nell'applicazione prevista. Tramite l'utilizzo di opportune funzioni, ad ogni passo temporale viene valutata l'utilità della simulazione ottenuta. La calibrazione viene quindi eseguita attraverso la massimizzazione di una funzione obiettivo costituita dalla somma delle utilità stimate nei singoli passi temporali. Le analisi mostrano come attraverso l'impiego di tali funzioni obiettivo sia possibile migliorare le prestazioni del modello laddove ritenute di maggior interesse per per le finalità applicative previste.

Social Welfare and Behavioral Public Policies

In this work I discuss several key aspects of welfare economics and policy analysis and I propose two original contributions to the growing field of behavioral public policymaking. After providing a historical perspective of welfare economics and an overview of policy analysis processes in the introductory chapter, in chapter 2 I discuss a debated issue of policymaking, the choice of the social welfare function. I contribute to this debate by proposing an original methodological contribution based on the analysis of the quantitative relationship among different social welfare functional forms commonly used by policy analysts. In chapter 3 I then discuss a behavioral policy to contrast indirect tax evasion based on the use of lotteries. I show that the predictions of my model based on non-expected utility are consistent with observed, and so far unexplained, empirical evidence of the policy success. Finally, in chapter 4 I investigate by mean of a laboratory experiment the effects of social influence on the individual likelihood to engage in altruistic punishment. I show that bystanders’ decision to engage in punishment is influenced by the punishment behavior of their peers and I suggest ways to enact behavioral policies that exploit this finding.

Voter Participation in the 1998 Bundestag Elections: A Theoretical Modification and Empirical Application of Downs’ Theory of Voter Participation

This article seeks to contribute to the illumination of the so-called 'paradox of voting' using the German Bundestag elections of 1998 as an empirical case. Downs' model of voter participation will be extended to include elements of the theory of subjective expected utility (SEU). This will allow a theoretical and empirical exploration of the crucial mechanisms of individual voters' decisions to participate, or abstain from voting, in the German general election of 1998. It will be argued that the infinitely low probability of an individual citizen's vote to decide the election outcome will not necessarily reduce the probability of electoral participation. The empirical analysis is largely based on data from the ALLBUS 1998. It confirms the predictions derived from SEU theory. The voters' expected benefits and their subjective expectation to be able to influence government policy by voting are the crucial mechanisms to explain participation. By contrast, the explanatory contribution of perceived information and opportunity costs is low.

Bildungsexpansion und Bildungsbeteiligung. Oder: warum immer mehr Schulpflichtige das Gymnasium besuchen

Die vorliegende Untersuchung ist ein Beitrag, die Frage zu klären, warum in der westdeutschen Nachkriegszeit immer mehr Schulpflichtige nach Abschluss der Grundschule das Gymnasium besuchen. Ausgehend von einem entscheidungstheoretischen Modell der subjektiven Werterwartung werden Mechanismen der elterlichen Bildungsentscheidung aufgezeigt. Dabei wird davon ausgegangen, dass sowohl zunehmende Bildungsmotivationen als auch Veränderungen in der subjektiven Bewertung von Kosten und Nutzen für eine höhere Bildung wichtige Voraussetzungen für die zunehmende Bildungsbeteiligung, aber auch Folgen der Bildungsexpansion waren. Die empirischen Analysen für drei Zeitpunkte in den 60er, 70er und 80er Jahren bestätigen diese Annahmen weitgehend. Ebenso wurde empirisch belegt, welch wichtige Rolle neben den Bildungsintentionen von Eltern und dem vorhergehenden Bildungsverlauf ihrer Kinder auch strukturelle Momente der Bildungsexpansion und ihre Eigendynamik beim tatsächlichen Bildungsübergang spielen. Schließlich gibt es Hinweise dafür, dass die Persistenz klassenspezifischer Bildungsungleichheiten auf einer konstanten Balance von Nutzen und Kosten zwischen den sozialen Klassen basiert.

Tribalism as a Minimax-Regret Strategy: Evidence from Voting in the 2007 Kenyan Elections

Although many studies find that voting in Africa approximates an ethnic census in that voting is primarily along ethnic lines, hardly any of the studies have sought to explain ethnic voting following a rational choice framework. Using data of voter opinions from a survey conducted two weeks before the December 2007 Kenyan elections, we find that the expected benefits associated with a win by each of the presidential candidates varied significantly across voters from different ethnic groups. We hypothesize that decision to participate in the elections was influenced by the expected benefits as per the minimax-regret voting model. We test the predictions of this model using data of voter turnout in the December 2007 elections and find that turnout across ethnic groups varied systematically with expected benefits. The results suggest that individuals participated in the elections primarily to avoid the maximum regret should a candidate from another ethnic group win. The results therefore offer credence to the minimax regret model as proposed by Ferejohn and Fiorina (1974) and refute the Downsian expected utility model.

Análisis empírico del tráfico en las autopistas de peaje radiales 3 y 5 de Madrid

El propósito de la presente investigación es determinar si, a través del estudio y análisis de los estudios de tráfico en autopistas de peaje, se pueden determinar las razones de los incumplimientos en las previsiones de estos estudios. La metodología se basa en un análisis empírico ex- post facto de los estudios de tráfico contenidos en los anteproyectos de las autopistas Radial 3 y Radial 5 y los datos realmente verificados. Tras una introducción para presentar las principales características de las autopistas de peaje, se realiza una revisión de la bibliografía sobre el cumplimiento de las previsiones de tráfico. Lo anterior permite establecer una serie de aspectos que pueden contribuir a estos incumplimientos, así como una serie de medidas encontradas para mejorar las futuras previsiones. Ya en el núcleo fundamental de la investigación, esta se centra en el análisis del cumplimiento de las previsiones de tráfico contenidas en los anteproyectos de la Radial 3 y Radial 5. Se realiza un análisis crítico de la metodología adoptada, así como de las variables e hipótesis realizadas. Tras este primer análisis, se profundiza en la fase de asignación de los estudios. Siempre con base a los tráficos reales y para el año 2006, se cuantifica el efecto en los incumplimientos, por un lado de las variables utilizadas, y por otro, del propio método ó curva de asignación. Finalmente, y con base en los hallazgos anteriores, se determinan una serie de limitaciones en el método de asignación de tráficos entre recorridos alternativos para el caso de entornos urbanos usado. El planteamiento con base a las teorías del agente racional y maximización de la utilidad esperada es criticado desde la perspectiva de la teoría de decisión bajo condiciones de riesgo planteada por Kahneman y Tversky. Para superar las limitaciones anteriores, se propone una nueva curva de asignación semi empírica que relaciona la proporción del tráfico que circula por la autopista de peaje con la velocidad media en la autovía libre alternativa. ABSTRACT The aim of this research is to confirm whether the forensic analysis of the traffic forecast studies for tolled highways may bring to light the reasons behind the lack of accuracy. The methodology used on this research is empirical and is based on the ex –post facto analysis of the real traffic numbers compared to the forecasted for the tolled highways Radial 3 and Radial 5. Firstly the main features of tolled highways are presented as an introductory chapter. Secondly a broad bibliographic search is presented, this is done from a global perspective and from the Spanish perspective too. From this review, a list of the main causes behind the systematic inaccuracy together with measures to improve future traffic forecast exercises are shown. In what we could consider as the core of the research, it focuses on the ratios of actual / forecast traffic for the tolled highways Radial 3 y Radial 5 in Madrid outskirts. From a critical perspective, the methodology and inputs used in the traffic studies are analysed. In a further step, the trip assignment stage is scrutinised to quantify the influence of the inputs and the assignment model itself in the accuracy of the traffic studies. This exercise is bases on the year 2006. Finally, the assignment model used is criticised for its application in tolled urban highways. The assumptions behind the model, rational agent and expected utility maximization theories, are questioned under the theories presented by Kahneman and Tversky (Prospect Theory). To overcome these assignment model limitations, the author presents a semi empiric new diversion curve. This curve links the traffic proportion using the tolled highway and the average speed in the toll free alternative highway.

Assessment of irrigators’ preferences for different water supply risk management tools: option contract and insurance.

Irrigators face the risk of not having enough water to meet their crops’ demand. There are different mechanisms to cope with this risk, including water markets (option contracts) or insurance. A farmer will purchase them when the expected utility change derived from the tool is positive. This paper presents a theoretical assessment of the farmer’s expected utility under two different option contracts, a drought insurance and a combination of an option contract and the insurance. We analyze the conditions that determine farmer’s reference for one instrument or the other and perform a numerical application that is relevant for a Spanish region.

A group decision-making methodology with incomplete individual beliefs applied to e-Democracy

We consider the situation where there are several alternatives for investing a quantity of money to achieve a set of objectives. The choice of which alternative to apply depends on how citizens and political representatives perceive that such objectives should be achieved. All citizens with the right to vote can express their preferences in the decision-making process. These preferences may be incomplete. Political representatives represent the citizens who have not taken part in the decision-making process. The weight corresponding to political representatives depends on the number of citizens that have intervened in the decision-making process. The methodology we propose needs the participants to specify for each alternative how they rate the different attributes and the relative importance of attributes. On the basis of this information an expected utility interval is output for each alternative. To do this, an evidential reasoning approach is applied. This approach improves the insightfulness and rationality of the decision-making process using a belief decision matrix for problem modeling and the Dempster?Shafer theory of evidence for attribute aggregation. Finally, we propose using the distances of each expected utility interval from the maximum and the minimum utilities to rank the alternative set. The basic idea is that an alternative is ranked first if its distance to the maximum utility is the smallest, and its distance to the minimum utility is the greatest. If only one of these conditions is satisfied, a distance ratio is then used.

Strategy-proof choice of acts : a preliminary study

We model social choices as acts mapping states of the world to (social) outcomes. A (social choice) rule assigns an act to every profile of subjective expected utility preferences over acts. A rule is strategy-proof if no agent ever has an incentive to misrepresent her beliefs about the world or her valuation of the outcomes; it is ex-post efficient if the act selected at any given preference profile picks a Pareto-efficient outcome in every state of the world. We show that every two-agent ex-post efficient and strategy-proof rule is a top selection: the chosen act picks the most preferred outcome of some (possibly different) agent in every state of the world. The states in which an agent’s top outcome is selected cannot vary with the reported valuations of the outcomes but may change with the reported beliefs. We give a complete characterization of the ex-post efficient and strategy-proof rules in the two-agent, two-state case, and we identify a rich class of such rules in the two-agent case.